A STEPWISE PROCEDURE FOR CONSTRAINED UTILITY MAXIMIZATION*
针对现有软件无法估计识别效用函数所需方程组的问题，提出一种逐步最小二乘估计方法，并应用于食品需求分析，以解决方程组规模大、参数零约束缺乏理论以及负定条件难以保证等难题。
ABSTRACT Constrained utility maximization underlies much consumer behavior in economics. Opportunities for solving important problems are ever present. However, most potential applications remain potential because existing software packages are not able to estimate the systems of equations necessary to identify the utility function. At least three features often conspire to make these problems intractable: the size of the system of equations that must be estimated, the lack of any theory for imposing zero restrictions on many of the parameters of the nonadditive utility functions, and the necessity to insure negative definiteness consistent with the axioms of consumer behavior. This paper develops an approach and illustrates the stepwise least squares estimator of a group of equations by application to the demand for food items.